Time-Series Momentum in the Chinese Commodity Futures Market
29 Pages Posted: 17 Jan 2019
Date Written: January 7, 2019
This study examines time-series momentum in the Chinese commodity futures market. The findings show that a time-series momentum strategy performs best with a one-month look-back period and a one-month holding period. Furthermore, this strategy outperforms passive long and cross-sectional momentum strategies in the Chinese futures market based on Sharpe ratios, risk-adjusted excess returns, and cumulative returns. But highly volatile market characteristic with many speculative investors limits the period in which time-series momentum is maintained. Our findings suggest that the anomaly is observed in international asset markets, including Chinese commodity futures, and support the implication that speculators profit from time-series momentum strategy is the expense of hedgers.
Keywords: China, Commodity, Futures, Momentum, Time-Series
JEL Classification: G12, G13, G15, F37
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